The shortage of oil and gas supply to Europe during the Russia-Ukraine conflict has triggered a price hike in the European energy sector. To mitigate the impact of higher energy prices on consumers, the EU introduced a price ceiling mechanism to curb gas prices from exceeding market norms. This interplay between supply shortages and price controls further heightened volatility in energy market prices. Consequently, our study aims to explore the efficacy of ESG indices as a safe haven against the highly volatile European oil and gas sectors to reduce portfolio losses during conflict. Using advanced analytical techniques such as cross-quantilogram to predict directional predictability, we find that bullish ESG markets are a safe haven against the bearish oil and gas markets in short, medium, and long-term investment horizons. Further, to identify the net receiver/transmitter of spillover between ESG indices and oil and gas sectors, our quantile time-frequency connectedness analysis shows ESG is a net receiver of spillover before the conflict and during wartime. Additionally, we explored the indicator of uncertainty that influences quantile spillover between ESG indices and European oil and gas sectors. We find that uncertainty's role in quantile spillover is significant and asymmetric, and it becomes more volatile during wartime. This feature tends to be amplified during short and long-term spillovers. Finally, the portfolio rebalance strategy suggests that a safe haven portfolio based on a one-month investment horizon yields positive returns during wartime. Hence, this study suggests investors include ESG indices as safe haven assets at times of crisis and for policymakers to understand the role of uncertainties in reducing price volatility and risk contagion among ESG and energy markets.

中文翻译：

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俄乌战争下欧洲 ESG 和能源行业之间的避风港：可持续投资对投资组合多元化的作用


俄乌冲突期间对欧洲的石油和天然气供应短缺引发了欧洲能源行业的价格上涨。为了减轻能源价格上涨对消费者的影响，欧盟引入了价格上限机制，以遏制天然气价格超过市场规范。供应短缺和价格控制之间的这种相互作用进一步加剧了能源市场价格的波动性。因此，我们的研究旨在探索 ESG 指数作为避风港对高度波动的欧洲石油和天然气行业的有效性，以减少冲突期间的投资组合损失。使用交叉量子图等高级分析技术来预测方向可预测性，我们发现在短期、中期和长期投资期限内，看涨的 ESG 市场是对抗看跌石油和天然气市场的避风港。此外，为了确定 ESG 指数与石油和天然气行业之间溢出的净接收者/发送者，我们的分位数时频连通性分析显示，ESG 是冲突前和战时溢出的净接收者。此外，我们还探讨了影响 ESG 指数与欧洲石油和天然气行业之间分位数溢出的不确定性指标。我们发现，不确定性在分位数溢出中的作用是显著且不对称的，并且在战时变得更加不稳定。这一特征在短期和长期溢出期间往往会被放大。最后，投资组合再平衡策略表明，基于一个月投资期限的避险投资组合在战时产生正回报。 因此，本研究建议投资者在危机时期将 ESG 指数作为避险资产，并建议政策制定者了解不确定性在减少 ESG 和能源市场的价格波动和风险传染方面的作用。